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How efficient is the European football betting market? Evidence from arbitrage and trading strategies

Vlastakis, N and Dotsis, G and Markellos, RN (2009) 'How efficient is the European football betting market? Evidence from arbitrage and trading strategies.' Journal of Forecasting, 28 (5). 426 - 444. ISSN 0277-6693

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Abstract

This paper assesses the international efficiency of the European football betting market by examining the forecastability of match outcomes on the basis of the information contained in different sets of online and fixed odds quoted by six major bookmakers. The paper also investigates the profi tability of strategies based on: combined betting, simple heuristic rules, regression models and prediction encompassing. The empirical results show that combined betting across different bookmakers can lead to limited but highly profi table arbitrage opportunities. Simple trading rules and betting strategies based on forecast encompassing are found capable of also producing signifi cant positive returns. Despite the deregulation, globalization and increased competition in the betting industry over recent years, the predictabilities and profi ts reported in this paper are not fully consistent with weak-form market efficiency. Copyright © 2008 John Wiley & Sons, Ltd.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jo Wiltshire
Date Deposited: 30 Aug 2013 15:19
Last Modified: 13 Nov 2018 22:16
URI: http://repository.essex.ac.uk/id/eprint/5223

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